We consider a class of discrete-time stochastic control systems, with Borel state and action spaces, and possibly unbounded costs. The processes evolve according to the equation x t +1 =F(x t , a t , ξ t ), t=0, 1, ..., where the ξ t are i.i.d. random vectors whose common distribution is...

The paper deals with a class of semi-Markov control models with Borel state and control spaces, possibly unbounded costs, and unknown holding times distribution H. Assuming that H does not depend on state-action pairs, we combine suitable methods of statistical estimation of H with control...

The paper deals with a class of semi-Markov control models with Borel state and control spaces, possibly unbounded costs, and unknown holding times distribution H. Assuming that H does not depend on state-action pairs, we combine suitable methods of statistical estimation of H with control...